Connectivity is a measure of the number of connections in a network. It is applied here to financial network shutdown due to inter-institutional default. Since 1797 when Sir Francis Baring introduced the concept of ``lender of last resort" concepts such as "too-big-to fail",...

type="main" xml:lang="en" <title type="main">Abstract</title> <p>At large financial institutions, operational risk is gaining the same importance as market and credit risk in the capital calculation. Although scenario analysis is an important tool for financial risk measurement, its use in the measurement of operational risk...</p>

In April of 2013, the Pension Research Council of the Wharton School at the University of Pennsylvania convened a Technical Review Panel, comprising ten experts whose task it was to review the Pension Benefit Guaranty Corporation’s (PBGC) Pension Insurance Modeling System (PIMS), including...

Return distributions in general and interest rates in particular have been observed to exhibit skewness and kurtosis that cannot be explained by the (log)normal distribution. Using g-and-h distribution we derived a closed-form option pricing formula for pricing European options. We measured its...